Fannie 3.0s saw what was probably their single biggest day of new TBA originations yesterday. In the opening alert on MBS Live, we said: "For MBS, today's challenge will be one of supply. This began yesterday as the supply/demand equation got lopsided in the afternoon, causing MBS prices to leak out rather painfully. And now this morning, originators are already stacking up crates of freshly minted 3.0's on the proverbial 'street.'
And although the supply did weigh things down to a certain extent, MBS held up surprisingly well, even if rate sheets mostly ticked sideways. The Wells wholesale exit is stirring up anticipation for similar surprises, and is likely contributing to the supply dump. If rate sheets print in similar territory, it's fair to expect more locking. But unlike our supply-based admonitions yesterday, there's less room for error today in terms of benchmarks. Basically, 10yr yields will have to travel very close to all time lows, or break them, in order for MBS to stay in the green.
That's a delicate dance for 10's and one that requires a fairly crappy overnight session from Europe. We'd probably need to see EU benchmark debt breaking all-time low yields as well when we tune in for tonight's episode of "Bundwatch." If that happens, great! If not, domestic 10's are at risk of a technical bounce higher. MBS can weather such a storm to a certain extent, but if 10's start moving north too quickly, the lock volume could really get out of control and quickly overwhelm willing buyers on a Friday afternoon.
And wouldn't you know it, there's not much by way of informative data and events to help guide prices today. What little there is, will arrive in the morning, first with Producer Prices at 8:30am followed by Consumer Sentiment at 9:55am. The inflation data is so unimportant that we're close to not even mentioning it any longer. Consumer Sentiment isn't a top tier report, but can be seen moving the needle from time to time. Today's will have to break fairly far away from the consensus to do this. Otherwise, it's a trader's world today
|
Week Of Mon, Jul 2 2012 - Fri, Jul 6 2012 |
||||||
|
Time |
Event |
Period |
Unit |
Forecast |
Prior |
Actual |
|
Mon, Jul 9 |
||||||
|
15:00 |
Consumer credit |
May |
bl |
9.00 |
6.50 |
-- |
|
Tue, Jul 10 |
||||||
|
13:00 |
3-Yr Note Auction |
-- |
bl |
32.0 |
-- |
-- |
|
Wed, Jul 11 |
||||||
|
07:00 |
Mortgage market index |
w/e |
-- |
-- |
816.7 |
-- |
|
07:00 |
Mortgage refinance index |
w/e |
-- |
-- |
4524.1 |
-- |
|
08:30 |
International trade mm $ |
May |
bl |
-49.0 |
-50.1 |
-- |
|
10:00 |
Wholesale inventories mm |
May |
% |
0.3 |
0.6 |
-- |
|
10:00 |
Wholesale sales mm |
May |
% |
0.2 |
1.1 |
-- |
|
13:00 |
10-yr Note Auction |
-- |
bl |
21.0 |
-- |
-- |
|
14:00 |
FOMC Minutes (June 20th Meeting) |
-- |
-- |
-- |
-- |
-- |
|
Thu, Jul 12 |
||||||
|
08:30 |
Import prices mm |
Jun |
% |
-2.0 |
-1.0 |
-- |
|
08:30 |
Continued jobless claims |
w/e |
ml |
3.300 |
3.306 |
-- |
|
08:30 |
Initial Jobless Claims |
w/e |
k |
376 |
374 |
-- |
|
08:30 |
Export prices mm |
Jun |
% |
-0.3 |
-0.4 |
-- |
|
13:00 |
30-Yr TIPS Auction |
-- |
bl |
13.0 |
-- |
-- |
|
Fri, Jul 13 |
||||||
|
08:30 |
Producer prices mm |
Jun |
% |
-0.6 |
-1.0 |
-- |
|
08:30 |
Producer prices, core mm |
Jun |
% |
0.2 |
0.2 |
-- |
|
09:55 |
U.Mich sentiment |
Jul |
-- |
73.5 |
73.2 |
-- |
|
09:55 |
U Mich conditions |
Jul |
-- |
81.2 |
81.5 |
-- |
|
09:55 |
U.Mich expectation |
Jul |
-- |
67.8 |
67.8 |
-- |
|
* mm: monthly | yy: annual | qq: quarterly | "w/e" in "period" column indicates a weekly report * Q1: First Quarter | Adv: Advance Release | Pre: Preliminary Release | Fin: Final Release * (n)SA: (non) Seasonally Adjusted * PMI: "Purchasing Managers Index" |
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